Im getting 2 XBee 802.15.4 Module from adafruit.com and 2 of the Xbee adapters from adafruit. If I hook both of them up to 2 different arduinos using the TX and RX pins would I still need to configure the XBee with X-CTU. I want to write Serial commands to the XBee to send a "command" to the other arduino and when that arduino gets the command it will react to it. Example: Light up an led.

You need to configure the xbees so they know which addresses to send bytes to. (i.e. to each other)

See my reply in your other thread for how to do this.

(Incidentally if you just want to light an LED at the far end, you may not need the second arduino - the xbee modules have their own digital and analogue inputs and outputs which you can control remotely over the xbee network)

I'm not sure what they mean by that. As far as I know you have to configure the xbee modules so they know which xbee address to send packets to. I.e. if you have two xbee modules A,B with serial numbers like SH(A),SL(A) and SH(B), SL(B), you need to set the destination address for each module to point to the other one. I.e. DH(A)=SH(B), DL(A)=SL(B), and DH(B)=SH(A), DL(B)=SL(A)

See further down the page you linked for more details on how to do this.